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Existence of solutions of some boundary value problems with stochastic volatility

机译：具有随机波动性的某些边值问题的解的存在性

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摘要

This paper aims at obtaining the analytical solutions of some boundary value problems garnished with stochastic volatility, price volatility risk and the risk premium. A set of functions is constructed which transforms the problem into a Laplace equation and a heat equation. The analytical solutions of these equations are obtained. Then existence of a unique solution is achieved which represents the behavior of volatile behavior of the system. Some numerical illustration of the models is obtained using the Maple software.

机译：本文旨在获得具有随机波动性，价格波动性风险和风险溢价的边值问题的解析解。构造了一组函数，这些函数将问题转换为拉普拉斯方程和热方程。获得这些方程的解析解。然后，获得了代表该系统易失性行为的唯一解决方案的存在。使用Maple软件可以获得模型的一些数字说明。

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期刊名称 Heliyon
作者
B.O. Osu; E.O. Eze; U.E. Obasi; H.I. Ukomah;
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作者单位

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年(卷),期 2020(6),2
年度 2020
页码 -1
总页数 11
原文格式 PDF
正文语种
中图分类
关键词
Computational mathematics; Financial BVP; Stochastic volatility; Heat equation; Laplace equation;

机译：计算数学;金融BVP;随机波动率;热方程;拉普拉斯方程;

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机译：多变量随机波动的三篇论文：通过Wishart随机散步多变量随机波动性。随机考律下的高效前沿界限。通过Wishart随机行走的高尺寸因子多变量随机波动率
6. Existence and Uniqueness of Solution for a Class of Stochastic Differential Equations [O] . Junfei Cao, Zaitang Huang, Caibin Zeng 2013

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7. Existence of solutions of some boundary value problems with stochastic volatility [O] . B.O. Osu, E.O. Eze, U.E. Obasi, 2020

机译：随机波动率的一些边值问题解的存在性

Existence of solutions of some boundary value problems with stochastic volatility

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